[Frank]

I think this is self-explanatory. interesting comparison of where net return really comes from:

[DugDug]

Thanks very interesting....basically it looks like you are better off buying on open and selling on close for less volatility and continuous but small gains of less than 10% over 8 years.
Seems to me that in a bull market buy and hold beats everything...go figure.

does that include commissions?
How do you have a futures contract that excludes dividends - if I assume you have just taken the historical prices? I would have thought thats factored in as part of the Fair value calculations?

As something extra interesting - its worth looking at how the analysis works in separate bull and bear markets. its amazing how many up and down days you get in both. I did it once before on the Australian market and it was about 50-50 in a bull market - it was just in the magnitude of the size of the move for the days that is important.

[Frank]

I did that chart to show someone that doesn't trade futures -- and they would probably have noticed that those returns are not the same as the S&P 500 so I just stated that up front (in the title of the chart). You can see in this data table to the right that SPY dividends add a few percentage points a year.

(it takes less money up front to buy same amount of futures exposure, so its assumed you invest the extra money in treasury securities to make up for lack of dividend).

[james_gsx]

This is interesting, but how do you manage risk? I'm curious if you've even looked that far into the strategy.

I've been playing around with a lot of strategies similar to this in Excel with limited success. I'm not looking for any trading strategies, I just like to see the different results. A lot of contrarian plays seemed to be the most consistently profitable, but I only looked back to 2005.